1. No penalty. Watch it though because if you get caught at a later time by guards, that stuff will be taken away from you. A little trick for this is to throw everything on the ground when you have a bounty on your head, walk up to a guard and pay the fine and then go pick up all your stuff.

2. Yes, if someone is close by, you must use sneak. You can also get a telekinisis spell that will let you open and take objects from a distance.

3. If you leave stuff on the ground it will not disappear. What I recommend doing is just take over part of someones house. Later on when you get a bit more powerful you can kill the person and take over the whole house.

4. You gain levels by using your major and minor skills. When you use a major or minor skill you get experience and when that experience reaches 100 you increased a skill level. You need to have 10 skill increases to go up a level. You can highlight your skills to see your current experience progress in the stats menu. You can highlight your level in the stats menu to see your current progress for leveling.